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Multi-scale causality and extreme tail inter-dependence among housing prices

Sang Hoon Kang, Gazi Uddin (), Ali Ahmed and Seong-Min Yoon ()

Economic Modelling, 2018, vol. 70, issue C, 301-309

Abstract: This study explores multi-scale causality and extreme tail dependence structures among housing prices in four cities: Seoul, Hong Kong, Tokyo, and New York. We apply two different and unique approaches in our analysis of monthly housing price data: (i) the frequency domain Granger casualty test and (ii) the non-parametric copula test. Employing the frequency domain casualty test, we find both bi-directional and uni-directional causalities at different frequency bands. Additionally, the nonlinear copula estimates indicate asymmetric tail dependence for housing price pairs in all four cities. Finally, the Hong Kong housing market has a greater effect on the Seoul and Tokyo housing markets than does the New York housing market.

Keywords: Housing prices; Inter-dependence; Multi-scale causality; Non-parametric copula test; Tail distribution (search for similar items in EconPapers)
JEL-codes: C14 C46 R31 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.econmod.2017.11.014

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